как динамически создавать компонент в delphi, такой как TLabel или TEdit… и т. д.

Использование Delphi 2010

SQLQuery1.First; // move to the first record
while(not SQLQuery1.EOF)do begin
   // do something with the current record
   // What's the code should i write in this part in order to create a TEdit
   // containing the user fullname the current item.
   ShowMessage(SQLQuery1['whom']);
   SQLQuery1.Next; // move to the next record
end;